Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market

Siwar Mehri Helali

International Journal of Economics and Finance, 2019, vol. 11, issue 8, 91

Abstract: This study tests the existence of periodically collapsing speculative bubbles in the Tunisian stock market. We use the Phillips, Wu, and Yu (2011) and Phillips, Shi, and Yu (2015) approaches, based on right-tailed unit root tests, in order to explore the existence and to date-stamp the origination and termination of bubbles. An empirical application was conducted in the Tunisian stock market, using monthly data on stock price-dividend ratio, for the period running from January 2004 to December 2014. The empirical findings provide evidence for the existence of exuberance in the Tunisian stock market over the period and date-stamp its origination and collapse.

Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ccsenet.org/journal/index.php/ijef/article/download/0/0/40267/41398 (application/pdf)
http://www.ccsenet.org/journal/index.php/ijef/article/view/0/40267 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:11:y:2019:i:8:p:91

Access Statistics for this article

More articles in International Journal of Economics and Finance from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().